過去文獻指出投資人情緒與盈餘管理之間具有相關，但是沒有研究探討兩者間的相關是正向相關抑或負向相關，以及兩者發生的時間先後關係，因此本研究旨在檢測投資人情緒與盈餘管理的關聯並探討投資人情緒與公司盈餘管理之因果關係。試圖了解市場投資人是受公司所公告之意圖影響股價而經操縱的盈餘宣告才產生投資人情緒還是公司經理人為了迎合投資人情緒才進行盈餘管理。本文以裁決性應計項目衡量盈餘管理、以改良後的Feldman個股情緒指標代表投資人情緒，研究對象為在美國三大股市掛牌之上市櫃公司，研究期間為1952年至2012年。本文預期當投資人情緒較高時，經理人傾向進行向上盈餘管理，以試圖保持投資人樂觀之情緒；當投資人情緒較低時，對資訊的接受度較低，因此經理人較不會進行盈餘管理，亦即，投資人情緒與盈餘管理間呈正向關係，另一方面，本文預期投資人情緒將受到盈餘管理的影響，當公司進行向上盈餘管理，投資人情緒會因此上升，但是過去文獻表示投資人對財務報表之信心不足，這表示當經理人進行向上盈餘管理後，投資人的情緒反而會不升反降。綜觀上述，本研究預期兩者間會互相影響，呈現互為因果之關係。經過實證研究發現，投資人情緒正向影響盈餘管理，如同預期結果，而盈餘管理則是負向影響投資人情緒。另外透過Granger因果驗證證實兩者間呈現互為因果的關係，與預期結果相符。

Previous literature noted that investor sentiment and earnings management are related, but there is no research to explore the correlation between the two is a positive or negative correlation, and the chronological relationships between them. This paper was designed to detect the connection between investor sentiment and earnings management and examines the causal relationship between investor sentiment and earnings management. In particular, we explore whether investor sentiment is partly induced by earnings management, or managers simply conduct earnings management in an attempt to cater to investor sentiment.
This paper employs firm-level discretionary accruals as the proxy for earnings management and modified Feldman's sentiment index as investor sentiment. Our sample firms include those listed in the NYSE, AMEX, and NASDAQ during the period of 1953 to 2012. We expect that when investor sentiment is high, managers will tend to manipulate earnings upwards for keeping investors optimistic. When investor sentiment is low, managers will do nothing. That is, investor sentiment both leads and lags earnings management.
Finally, we found that investor sentiment positive effect on earnings management, as our expected, and earnings management is negatively effects investor sentiment. Additionally through Granger causality verification confirmed the relationship between cause and effect, consistent with the expected results.

謝　詞 I
中文摘要 II
英文摘要 III
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 研究架構 3
第二章 文獻回顧 5
第一節 投資人情緒之衡量指標 5
第二節 投資人情緒對股票市場的影響 6
第三節 盈餘管理的定義 7
第四節 盈餘管理的衡量方法 8
第五節 投資人情緒與盈餘管理之相關文獻 11
第三章 研究方法 13
第一節 研究假說 13
第二節 資料來源及樣本選取 15
第三節 研究模型 16
第四節 研究變數 19
第四章 實證結果與分析 23
第一節 敘述統計 23
第二節 實證結果分析 31
第五章 結論與建議 47
參考文獻 49
著作權聲明 53

 

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